Analytical shape functions and derivatives approximation formulas in local radial point interpolation methods with applications to financial option pricing problems

DOI10.1016/J.CAMWA.2019.06.005zbMath1443.65011OpenAlexW2950535837WikidataQ127659749 ScholiaQ127659749MaRDI QIDQ2004440

Nawdha Thakoor

Publication date: 7 October 2020

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2019.06.005

zbMATH Keywords

finite difference formulasAmerican optionsradial point interpolation methodtwo-asset financial optionsweak-form algorithm

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical interpolation (65D05)

Cites Work

• The Pricing of Options and Corporate Liabilities
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• Numerical experiments on the condition number of the interpolation matrices for radial basis functions
• Compact finite difference method for the fractional diffusion equation
• Pricing European and American options by radial basis point interpolation
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• A point interpolation meshless method based on radial basis functions
• Application of the local radial basis function-based finite difference method for pricing American options
• An exact and explicit solution for the valuation of American put options

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